Note: Descriptions are shown in the official language in which they were submitted.
CA 02843458 2016-03-09
METHOD AND SYSTEM FOR CONDUCTING AUCTIONS FOR DERIVATIVE
FINANCIAL PRODUCTS USING INSTANT MESSAGING
BACKGROUND
[0002] The present disclosure generally relates to a system for trading and
analyzing derivative
products, and more particularly, software that aggregates, organizes, parses
and extracts market
data for trading information from trading networks.
[0003] Derivatives can be traded either on an exchange or off-exchange.
Derivatives traded on
an exchange are called exchange-traded derivatives. The primary purpose of
exchanges is to
provide contract standardization, anonymity, a clearing system, price
transparency and a large
number of participants in order to provide liquidity in a contract.
[0004] Derivative contracts entered into through private negotiations are
typically called off-
exchange or OTC derivatives. OTC contracts allow the creation of products
whose risk-return
characteristics closely match the needs of individual customers. Additionally,
the nature of
private, non-transparent markets addresses privacy concerns when participants
do not want the
terms of their trade or prospective trade advertised to the broader market.
[0005] Notably, a significant amount of the business transactions involving
derivative contracts,
and options in particular, is negotiated and consummated through voice
brokers, away from
computerized and electronic trading environments. This is typically the case
because such
transactions involve complex financial instruments (e.g., packages of
products, spreads, etc.)
which are not listed on electronic exchanges, for example, and/or because they
involve large
(atypical) trading quantities for which the electronic trading environment
provides little or no
liquidity. Indeed, most (if not all) of the liquidity in the institutional
market for complex
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derivative contracts and options exists in the voice broker market, as opposed
to electronic
trading environments.
[0006] Conventional methods of communicating indications of interest and/or
pricing
information related to derivative contracts in the voice broker market include
voice
communications (i.e., via telephone) and via instant messenger (IM).
Increasingly, IM is
becoming the preferred method for such communications because, for example,
brokers are able
to receive and access multiple IM's simultaneously, and transmitting any
information via IM
creates a written record that may be accessed at a later time, if necessary.
[0007] Although IM technology has, in general, enhanced the workflow and
communications
between traders and brokers of derivative instruments (in the voice broker
market), there are still
significant deficiencies in existing electronic trading systems preventing the
use of such IM
technology in electronic markets, for example.
[0008] For one, conventional IM communications include unstructured text
(i.e., textual
information that does not comply with or follow any particular order, sequence
or syntax). As a
result, conventional electronic trading systems are unable to automatically
process and extract
any relevant information included in such text.
[0009] Further, even if the IM communications were structured (i.e., organized
according to a
certain sequence and format) such that a particular system could identify
relevant information
based on its position within a particular IM text, such information could not
be leveraged by
other systems that may utilize a different IM sequence or format.
[0010] Accordingly, there is a need for methods and apparatus configured to
recognize, parse
and extract relevant information from unstructured IM text, and convert the
unstructured text into
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structured data that can be easily organized and presented to users for
viewing, comparing,
analyzing, etc.
[0011] There is also a need for methods and apparatus configured to convert
the unstructured
text (after being parsed from unstructured text) into a format that can easily
be processed by and
integrated with all types of electronic systems and modules (e.g., order
management systems,
electronic exchanges, risk systems, pricing models, etc.).
SUMMARY
[0012] An exemplary embodiment of the present disclosure includes a system
comprising at
least one computer device in communication with one or more server computers.
The computer
device includes a user interface configured to receive unstructured text
generated by a user, the
unstructured text comprising structures and quotes on structures, each
structure comprising one
or more component parts. The server computers include at least one of an
instant messaging
gateway that enables the computer devices to communicate with each other and
with the server
computers via instant messaging and a market data recognition module that
recognizes the
structures and quotes in the unstructured text and converts the unstructured
text into an editable
electronic order ticket that is pre-populated with data and information
representing the structures
and quotes.
[0013] In one embodiment, instant messaging may be used to generate and
transmit a notice to
one or more recipients associated with one or more exchanges, said notice
informing the
recipients that an electronic order ticket has been submitted to the one or
more exchanges for
fulfillment. The instant messages may include an electronic web link
configured to launch a web
interface that includes the electronic order ticket and all of its order
details. Submission of the
electronic order ticket may launch an auction during which the recipients may
respond with
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offers to fulfill to the electronic order ticket. If after the auction more
than one response is
needed to fully satisfy the electronic order ticket, the system automatically
allocates how and in
which order the responses will be used to fulfill the electronic order ticket.
If the electronic order
ticket is not completely fulfilled after the auction, the electronic order
ticket may be submitted to
one or more additional exchanges for further fulfillment. In one embodiment,
the initiator of the
order ticket can select one or more preferred exchanges to which the
electronic order ticket will
be submitted. In another embodiment, the system automatically selects the
exchanges.
BRIEF DESCRIPTION OF THE DRAWINGS
[0014] Various exemplary embodiments of the present disclosure will be
described in detail,
with reference to the following figures, wherein:
[0015] FIG. 1 shows a computer based system for establishing a virtual over-
the-counter
exchange according to an exemplary embodiment of the present disclosure;
[0016] FIG. 2 shows a computer based system for establishing a virtual over-
the-counter
exchange according to another exemplary embodiment of the present disclosure;
[0017] FIGS. 3A AND 3B are screen shots of unstructured text parsed into
structured data and
text according to an exemplary embodiment of the present disclosure;
[0018] FIGS. 4A and 4B show another feature of unstructured text parsed into
structured data
and text according to an exemplary embodiment;
[0019] FIG. 5 is a screen shot of the structured data shown parsed in FIG. 3B
being entered into
a quote console according to an embodiment;
[0020] FIG. 6 is a screen shot of the quote console of FIG. 5 being used to
enter bid and offer
information according to an embodiment;
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[0021] FIG. 7 is a screen shot of a structure's best bid and offer in the
quote console of FIG. 5
being matched according to an embodiment;
[0022] FIG. 8 is a screen shot showing an example of killing the user's bid or
offer in the quote
console of FIG. 5 according to an embodiment;
[0023] FIG. 9 is a screen shot showing an example of generating a trade entry
in the quote
console of FIG. 5 according to an embodiment;
[0024] FIG. 10 is a screen shot of a non-user receiving a quote and trade
entry data;
[0025] FIGS. 11A and 11B show a message console illustrating partial market
data recognition;
[0026] FIG. 12 illustrates an activity log in the activity console according
to an exemplary
embodiment;
[0027] FIG. 13 illustrates the interaction of the quote console of FIG. 5 with
a pricing service
according to an exemplary embodiment;
[0028] FIG. 14 illustrates the structure and quote data sent to a spreadsheet
program according to
an exemplary embodiment;
[0029] FIG. 15 illustrates a spreadsheet of the structure and quote data of
FIG. 14 according to
an exemplary embodiment;
[0030] FIG. 16 illustrates a Quote Console, according to an exemplary
embodiment with a
"direct send" button highlighted;
[0031] FIG. 17 illustrates a normalized message being sent to a non-user after
pressing a "direct
send" button in a Quote Console;
[0032] FIG. 18 illustrates a Quote Console, according to an exemplary
embodiment with a "kill'
button highlighted;
CA 02843458 2014-02-18
[0033] FIG. 19 illustrates an unstructured normalized message being sent to a
non-user after
pressing a "kill" button in a Quote Console, according to an exemplary
embodiment;
[0034] FIG. 20 illustrates an inline alert in the Message Console, according
to an exemplary
embodiment; and
[0035] FIG. 21 illustrates an inline alert in a Quote Console, according to an
exemplary
embodiment.
DETAILED DESCRIPTION
[0036] The various exemplary embodiments of the present disclosure are
directed to a virtual
over-the-counter exchange system which allows users, or systems on behalf of
users, to input
product data to a virtual database where the data is standardized,
distribution is automated and
the organization and display of the OTC market data is in a secure and
compliant environment.
[0037] The present disclosure provides technology that allows for efficient
information exchange
for decentralized markets without disrupting existing workflows or interfering
with existing
relationships.
[0038] FIG. 1 shows a computer based system 1 for establishing a virtual OTC
exchange
according to an exemplary embodiment of the disclosure. The system 1 in this
embodiment
includes a user computer 15 and a plurality of other user computers 17 used to
communicate with
user computer 15 are connected to a server computer 4 over a wide area network
6, such, for
example, the Internet. It should be appreciated that in other embodiments of
the present
disclosure, the computer based system 1 may include any number of user
computers. In an
exemplary embodiment of the present disclosure, when a user at computer 15 or
17 (as shown in
FIG. 2) logs into server computer 4 using login information, server computer 4
is able to
determine whether to send information based on the login information. Server
computer 4
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includes a central processing unit (CPU) 3, a primary memory (i.e., RAM) 5, a
network interface
7, and a secondary memory (not shown). Secondary memory is preferably disk
storage. Code is
stored in secondary memory for performing a plurality of processes, executable
by the CPU 3,
which function together to establish a virtual exchange for OTC traded
derivatives, such as, for
example, weather or natural gas derivatives. Alternatively, each of the
processes may run on a
separate hardware element of server computer 4. Alternatively, each of the
processes may also be
load balanced across multiple server computers for scalability and fault
tolerance. As will be
explained in further detail below, computers 15 and 17 may be located at, but
are not limited to,
brokerage houses or trader workstations, where broker and/or trader
whiteboards are displayed
for easy viewing and manipulation of financial product data.
[0039] As shown in FIG. 2, in an alternative embodiment of the disclosure, a
plurality of user
computers 17 are connected via a wide area network (WAN). The server computer
4 is local to
another user computer 15, and information may be exchanged between user
computers 15 and 17
over a wide area network 6, such as, for example, the Internet. Alternatively,
server computer 4
may be local to user computer 17, and user computer 15 may communicate with
server computer
4 over the Internet. In either embodiment, server computer 4 may provide an
instant messaging
gateway, which allows users of computers 15 and 17 to communicate with one
another via
instant messaging, such as, for example, AOL Instant Messenger, Yahoo!
Messenger and Jabber.
In either embodiment, server computer 4 may represent a cluster of server
computers with
processes distributed among the hardware elements.
[0040] Stored in the secondary memory 8 are one or more of a plurality of
virtual user databases
and server process software 16. In one embodiment, each user has its own
virtual database.
Each virtual database may contain data published to it from any other user,
both on and off the
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system, both directly from a source virtual database, and from other inputs
and sources. The
server process software 16 contains logic to receive requests, commit received
data and distribute
data to and from the databases and the user computers.
[0041] Each user database 10 may include "master" information relating to, for
example, each
trader/broker counterparty, each derivative structure listed, quotes on all
structures, a history of
bid and/or offer and trade updates for each structure, specific details on
user relationships, and
preferred format of quotes when sent in string format to a particular
counterparty. A "structure"
is an OTC contract description, for example, a call spread, straddle, strangle
or any other type of
OTC contract type. If the user is in a group, virtual database 10 may be
shared by a group of
users. Virtual database 10 may also be located at the user's site in certain
configurations. In
general, virtual database 10 preferably contains historical information. A
user may use this
information to determine where to send information regarding a structure and
how the
information is to be transferred. Information comes directly from the server
and is published for
its users.
[0042] Database 10 may contain data that may be analyzed and re-purposed to
provide insight
into preferences and behavior. This data may be used to automatically
associate users with
structures that they are likely to be interested in based on previous
activity. Both database 10 and
database 45 store financial structure and quote data information in a standard
format, preferably
one from which customized text-based quotes may easily be created. The data
string representing
each of the financial structures may be distributed as financial structure
information updates and
quotes via instant messaging or e-mail, for example.
[0043] The server process software 16 may include a data converter 31 and a
data distributor 33.
Data converter 31 contains logic to translate financial product information
received from any
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interface 20 into a standard data protocol for storage in the virtual database
10. In this regard, the
data converter is preferably an application program interface (API) which
allows for
communication between user computers 15 and server computer 4 by providing a
number of
server controllers. Thus, any suitable interface 20 may be used to interact
with the server
software as long as it is configured to the requirements of the API. The data
distributor 33
distributes financial structure information stored in database 45 to a
corresponding one of the
plurality of interfaces 50 in one of a plurality of proprietary formats. For
example, user interface
50 may be an e-mail system, in which case the data distributor 33 would
translate the data stored
in virtual database 45 into text for sending and using SMTP protocol. The
previously mentioned
API is preferably used for communication between any type of interface system
and the server
computer 4. The data distributor 33 also determines whether the user is
available to receive
financial structure information either through a proprietary graphical
interface, or via any other
type of communications means, such as instant messaging or e-mail, and
determines the proper
data protocol for distribution based on the user's availability. Interface 50
may include any
suitable communication means, as long as such means is configured to the
requirements of the
previously mentioned API.
[0044] Graphical interface 20 retrieves data from and sends data to virtual
database 10 and
displays information regarding financial products at computer 15. Interface 20
allows users to
create structures, manage quotes, disseminate quotes, analyze quotes and price
structures, trade,
and communicate with individuals or groups over secure, logged instant
messaging. In one
embodiment of the present disclosure, interface 20 may be a graphical
interface.
[0045] As shown in FIGS. 3A and 3B, the present disclosure provides quotes to
its users. In this
example, unstructured text is entered into an IM screen. The unstructured text
is sent to a user in
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the form of a text or instant message from a non-user. The unstructured text
message is then
parsed and a quote on a structure is recognized and highlighted, as can be
seen in FIGS. 3A and
3B.
[0046] One method the present disclosure uses to recognize and highlight data
is by its market
data recognition (MDR) feature. The MDR can recognize structures and quotes on
structures in
chat messages received from a non-user, and structures and quotes on
structures from a user's
sent chat messages. In addition, structures and quotes on structures generated
from a user's quote
console can be recognized by the MDR and converted into an electronic order
ticket or a web
link to an electronic order ticket (discussed further below). The MDR is also
capable of
recognizing incoming and outgoing quote messages between users and non-users.
This feature
converts unstructured text into usable quotes. Virtually any process may be
used to convert the
text into structures and quotes on structures.
[0047] The MDR also has the ability to recognize bids and offers. The MDR will
associate a
recognized bid and/or offer with a user's set of quotes on a structure based
on the counterparty
contact's updated history and/or activity. The collection of quotes for the
structure may
automatically be updated with any recognized incoming or outgoing bids and/or
offers,
according to a user's preferences. All structure data is normalized and
correlated with existing
structure data. Thus, multiple quotes associated with the same structure can
be associated for
display or other purposes. In addition, the MDR provides for an inline chat
message capability to
add a quote to a structure. A string of unstructured data is paired with
contextual information,
such as the identity and preferences of the sender and receiver, and is given
to an identifying
component. The identifying component may use the contextual information to
configure its
operation or set default behaviors and settings. For example, if the sender
typically sends quotes
CA 02843458 2014-02-18
for derivatives on a particular underlying asset, an identifier may use the
default underlying asset
while parsing the string from that sender if no underlying asset is indicated.
If the component
accepts the string, it pulls the structure and quote data out of the string
and creates an identifying
object. The identifying object consists of the matching substring and
structure, and any quote and
trade information associated with that structure by the string. The default
implementation of the
identifier component is a composite of implementations of the same interface,
such that when the
string is passed through an ordered chain of identifier components, each
identifier either accepts
or rejects the string. If an identifier accepts the string, then the
processing stops. When the
identifier accepts the string, it pulls the product data out of the string and
creates an identifier
object, which is returned by the encompassing identifier implementation. Each
identifier is
associated with an ordered list of expressions that conform to an interface
identified by the
identifier. Essentially, the identifiers extract a given set of information
tagged by a given set of
names. The string is passed through the list of expressions, in order, until
one of the expressions
matches. The identifier extracts the information and creates an identifier
object. Expressions are
defined using a multi-level expression template library which makes the
creation of new patterns
very easy. Also, there is a framework for identifying strings that should have
been parsed. An
identifier may also consist of a hierarchy of expressions such that parents
can parse some parts of
the string and delegate the parsing of other parts to child expressions.
[0048] Once the MDR has converted unstructured text to a structure and quote
any number of
processes may be performed on the resulting structure and quote. An example of
one such real-
time process is customizable and configurable alerts. Alerts can notify the
user of any number of
conditions that may or may not be present in the newly created structure and
quote. For example,
in an embodiment of the present disclosure, the user may configure an alert to
notify
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himself/herself when a recognized bid is above the theoretical price generated
by the Pricing
Service Integration (PSI) component (described below) or when a recognized
offer is below the
theoretical price generated by the PSI. Other alerts could be created from
this framework
including, but not limited to, alerts to certain product types, certain
structures, certain financial
characteristics of structures, and certain movements in the bid/ask. For
example, in an
embodiment, the alert may comprise an electronic notice transmitted in the
form of an instant
message. This notice may include a selectable web link that when selected is
configured to
launch an exchange interface that includes an electronic order ticket.
Recipients of this notice
may then modify order details of the electronic order ticket for submission to
the initiator of the
electronic order ticket.
[0049] In an embodiment, these alerts are presented to the user in three
forms: directly inline in
the Message Console, in the Activity Log (discussed below) and through icons
in Quote Console.
The user can "click" an alert in the Message Console to open the Quote Console
and jump
directly to the structure in question. FIG. 20 shows an alert inline in the
Message Console and
FIG. 21 shows an alert icon in the Quote Console.
[0050] The MDR includes a set of identifying components, which comprise of a
library of
identifying components. Because the format of instant messages may vary from
market
participant to market participant, because additional commodity types with
additional
conventions for describing market data are introduced, and because conventions
for existing
commodity types may change over time, it is beneficial for the library to be
maintained.
[0051] The system includes a process for maintaining this library of
components. The system
and process comprise of a method for flagging strings that contain market data
but which cannot
be accurately parsed, and a set of authoring tools that allow component
authors to rapidly add
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and modify library components. In the default implementation of each,
composite identifiers may
be augmented to compose additional subcomponents, and subcomponents may be
authored that
conform to pre-existing interfaces. If new types of data need to be extracted,
new types of
interfaces may be created. In the default implementation, users are able to
easily flag a string that
contains quote information but which was not parsed using the quote console.
[0052] In FIGS. 4A and 4B, an example of a user's interactions are shown. In
one embodiment,
a user sends a message and a recognized quote is displayed. The quote is
recognized and sent to
the Market Data Bus of the sender. If the receiver is a user, then the market
would also be sent to
the Market Data Bus of the receiver.
[0053] According to the present disclosure, the market data bus includes
components that act as
market data providers and/or market data consumers. All market data that
enters the bus may be
consumed by other components. Among other providers and consumers, some market
data
providers and consumers include Market Data Recognition for parsing of
unstructured text,
incoming market data feed from the network of other users and publishers,
quote console, pricing
service integration, and several other plug-ins.
[0054] FIG. 5 illustrates an example of a quote being entered into a quote
console. Among other
things, a quote may be entered into a quote console. The quote console
includes the ability to
filter, to display structure components inline, to display quote depth inline,
to enter firm or
indicative quotes, and to generate instant messages from quote console
activity. Other
embodiments of the present disclosure may have a quote console with different
features.
[0055] As described above, the MDR feature can convert unstructured text into
normalized,
structured quotes that are correlated with existing structure and quote data.
Similar to how the
MDR feature may convert unstructured text to structure and quote data, various
user interface
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components of the present disclosure may convert the aforementioned structure
and quote data
back into unstructured (but normalized) text. This unstructured, normalized
text may then be sent
to the user's Market Data Bus for delivery to any number of recipients in any
number of formats
including instant messaging (IM) or electronic mail (email).
[0056] One such user interface component is a Quote Console feature. The user
may generate an
unstructured, normalized text representation of any structure by clicking a
line item in the Quote
Console, entering a bid/offer (or both), selecting a recipient and pressing
the "Direct Send"
button. FIG. 16 and FIG. 17 show an example of an unstructured, normalized
message being
generated. This approach may increase the user's efficiency. For example, to
remove a quote
previously sent to a counterparty, a user may simply press the "K" button as
detailed in FIG. 18
and FIG. 19. Pressing the "K" button, for example, will send a message to the
user's Market
Data Bus. The Market Data Bus will determine if the recipient is a user or a
non-user. If the
recipient is a user, then the message will be delivered to the recipient's
Market Data Bus for
processing. If the recipient is a non-user, then an unstructured, normalized
text representation of
the message will be generated and delivered to the recipient via any number of
formats including
IM or email--in this example pressing the "K" button has generated the IM "out
pen fh
65.00/72.00 csprd vs 64.75" to non-user AIMBroker2.
[0057] FIG. 6 illustrates an example of a quote bid and/or offer being edited
in the quote
console. FIG. 7 illustrates an example of a quote bid and/or offer being
matched using the quote
console. FIG. 8 illustrates an example of killing a bid and/or offer using the
quote console, and
FIG. 9 illustrates an example of generating a trade entry using the quote
console.
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[0058] The quote console includes quotes of various users with a built-in
capability of editing
the bids and offers. In addition, bids may be matched and killed in the quote
console. Finally,
trade entries may be placed in the quote console.
[0059] FIG. 10 shows an example of a non-user receiving a market update and a
trade entry
message generated via a quote console. This occurs because a user is
communicating with a
non-user. All parties involved in a communication do not have to be users.
[0060] Participants of OTC markets may share indications of interest (I0Is)
with each other. The
present disclosure provides technology that allows for efficient management of
the accuracy and
validity of all IOIs received by the user. A time is attached to each quote
that is received by the
user. As each quote ages it is pushed through an "expiration" lifecycle. The
user may configure
various levels of expiration, which have corresponding effects on the Quote
Console and other
user interface components. For example, in an embodiment of the present
disclosure, the user
may configure a Time-to-Italics (TTI). The TTI will mark older quotes in
italic font in the Quote
Console after a designated period of time and will also de-prioritize the
quote with regards to
other quotes. For example, assume a user receives an 18 bid at time 9:00 AM
and a 17 bid at
time 9:02 AM. Assume the user's TTI is set to 3 minutes. At time 9:01 AM the
user's Quote
Console will show the 18 bid as the best quote, however, at time 9:03 AM the
user's Quote
Console will show the 17 bid as the best quote (even though a bid of 18 is
numerically better
than a bid of 17) because the 18 bid has since reached its TTI.
[0061] The present disclosure also provides technology that allows for
efficient management of
the accuracy of all IOIs sent by the user. A time can be attached to each
outgoing quote; as each
outgoing quote ages it is pushed through an "expiration" lifecycle. The user
may configure
various levels of expiration, which have corresponding effects on the Quote
Console, other user
CA 02843458 2014-02-18
interface components, and outgoing messages. For example, in an embodiment of
the present
disclosure, the user may configure a Time-to-Live (TTL) for each quote. The
TTL will
automatically mark older quotes in italic font in the Quote Console and other
user interface
components. Finally, the TTL will also generate messages on-behalf-of the user
to notify the
original recipients of the price that the price is no longer accurate. For
example, suppose UserA
sends a price at 9:00 AM to UserB with a TTL of 4 minutes as follows: "x 12
calls live 30 bid".
In this example, the product is November 12 calls and the quote is a bid of
30. At 9:04 AM the
quote will reach its TTL and a message will automatically be sent to UserB on-
behalf-of UserA
as follows: "out 12 calls live"; the pre-pended "out" text indicates that
UserA's 30 bid is no
longer accurate.
[0062] FIGS. 11A and 11B are examples of how the present disclosure recognizes
and handles
partial market data recognition. A partial quote consists of a bid and/or
offer, but no associated
structure. Here, in FIG. 11A, the messages are displayed as entered by the
users. In FIG. 11B, a
question mark is shown in places where the system may not know the association
of the data.
For example, the system may not know with which structure to associate the
data. The system is
able to recognize that this is relevant data, but just acts to ensure that a
correct association is
made rather than forming a baseless guess. This feature allows the methodology
of the process to
continue using the partial market data recognition. All actions do not come to
a halt when
portions of certain messages are not recognized by the MDR.
[0063] In one embodiment of the present disclosure, if product data is not
recognized properly
and/or is considered to be an invalid quote, it may be destroyed. However,
even if destroyed, a
copy of the original quote will always be preserved for later reference to
determine whether or
not the present disclosure acted correctly.
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[0064] Essentially, partial market data recognition is designed to capture bid
and offer
information from text exchanges based on recent market context. For example,
if a user sends or
receives bid and/or offer information with no reference to which structure it
pertains, the system
will generate a list of markets associated with the counterparty based on
recent market data
history and based on user preferences, either automatically or with manual
intervention, and will
associate the bid and/or offer information with the appropriate market. This
allows for rapid
updating of bid and/or offer information either by the user or by
counterparties.
[0065] FIG. 12 shows an example of the Activity Console according to an
embodiment. The
activity console is essentially an activity log, which provides a centralized,
aggregate, real-time
display of all incoming messages in chronological order. Messages in the
Activity Console may
be from users or non-users, from group or individual contacts, from an outside
messaging server
or an internal server, and may be part of a unicast or multicast message. The
user has the option
to reduce the aggregated messages to show only messages containing market
data, or only
messages containing trade data, or any other subgroup of the aggregated
messages. The activity
console can highlight when a message containing market data matches a custom
user created
alert.
[0066] In addition, a contact's communication window may be opened or
activated from a link
attached to the sender's name. This makes communication organized and time
efficient. Also, the
activity log may be filtered to display only markets, texts, trades, or other
recognized markets in
real-time. There are several different ways that the activity log may be
filtered, including by
users, by market data, by type of data being sent, by chronological order, by
lineal order and so
on.
[0067] FIG. 13 is an illustration and example of the pricing service feature.
This feature may
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break down any structure to its component parts, a combination of futures,
forwards, swaps,
spreads, calls, puts, swaptions, or other products for pricing. Also, it may
generate aggregate
prices from legs. The Pricing Service Integration (PSI) typically is used to
provide prices to other
components. Another feature of the PSI is its ability to automatically price
complex derivatives.
Another feature of the PSI is the ability to allocate aggregate premiums to
individual legs.
[0068] In one embodiment of the present disclosure, the PSI process begins
with breaking down
structures into component parts. All the derivatives, including fences, call
spreads, straddles, etc.
may be broken down into a combination of futures, forwards, swaps, spreads,
calls, puts,
swaptions or other products. The broken down structures are passed to a
pricing service which is
registered with the PSI component. The pricing service may price and re-price
structures at any
time and notify the PSI. The PSI passes pricing information into the market
data bus. The pricing
information may include one or more of the direct pricing support and the
pricing support for the
trade-entry, which is given a trade value. The direct pricing support provides
an aggregate
premium based on the user's pricing model. The pricing support for trade
entry, which is given a
trade value, includes premium allocation for each option based on several
factors, some of which
include a designated aggregate premium and sizes for swaps used to cross
options. The user may
plug-in a user defined pricing services.
[0069] The process for the breakdown is done to provide building blocks for
mapping structure
components for analyzing the exchange of contracts on derivatives. Pieces are
analyzed to form a
composite analysis. In addition, a different breakdown process may be
implemented to
accomplish mapping of the exchange components pieces to the relevant exchange
products, for
clearing, risk management, or other purposes.
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[0070] In one embodiment, the process includes converting structures into a
collection of
clearable structure objects. This is a simple transformation to normalize
various structure
representations that typically involves wrapping a simple structure or each
component in a basket
structure with an implementation of the clearable structure interface that
understands the
structure or component. Another step in the process includes checking each
clearable structure in
the collection to make sure that it is clearable. Some structures are not
possible to clear via the
exchanges. Another step is to break down strips to individual months for each
clearable structure
in the collection, if it is cleared in that way. For each term, the clearable
structure is converted
into its component parts by the type of clearable structure.
[0071] FIG. 14 is an illustration of yet another feature that includes
compiling and sending
structure and quote data to a spreadsheet for easy access for the user. The
spreadsheet in this
example is an ExcelTM spreadsheet, but any functional program may work. Here,
the structure
and its component parts are sent to the spreadsheet where a potential pricing
service is
implemented, as shown in FIG. 15. FIG. 15 is an illustration of a spreadsheet
showing the
model prices for structure legs.
[0072] The present disclosure also allows for users of the system to view all
market activity on a
consolidated real-time screen. This enables users to analyze data and respond
to any
opportunities as quickly as possible. Control is gained over portfolio
valuation and end of the day
mark-to-market price verification functions. Trade negotiations are conducted
and logged in a
manner that satisfies information technology and compliance requirements.
[0073] The present disclosure also allows for the sharing of incoming or
outgoing messages, or
extracting and sharing the data contained within incoming or outgoing messages
across multiple
users of the application. Raw incoming and outgoing messages may be shared, or
a single IM
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CA 02843458 2014-02-18
address could be assigned to an entire group, where all users of the system in
that organization
may share that IM address and view all messages coming in or out of it. The
present disclosure
may also hide the identity of the user sending the message, so that
counterparties only see the
group IM address.
[0074] Additionally, the data contained within messages may be extracted and
shared across
multiple users in an organization. The Quote Console may be configured as a
shared view,
allowing users to combine the various structures, quotes and trades they've
been messaged
separately into one comprehensive view. Additionally, the combined view may
update in real-
time, as individual users receive quotes. The data contained in the combined
view may be
exported into various formats and provided to other consumers of the data, or
archived into other
systems.
[0075] The present disclosure utilizes various platforms for information
exchange. One example
of an information exchange platform is instant messaging (IM). Large amounts
of data may be
sent to or from counterparties using IM. Different parties, for example,
traders and brokers, may
have multiple counterparties and multiple streams of messages conducted over
IM. The present
disclosure is an information exchange platform, like IM, and market data
organization,
processing, and publishing application. The application can send and receive,
but is not limited
to, unstructured messages on behalf of a user.
[0076] The application may also parse and extract structure and quote data
from those incoming
and outgoing messages, and may make the structure and quote data available on
a quote screen,
pricing services and other APIs. The present disclosure may also extract data
and input relevant
data into another platform and into another format, like a spreadsheet. In
addition, the application
is operative with users and non-users, alike. All participants in the system
of the present
CA 02843458 2014-02-18
disclosure need not be users or subscribers. Analytical information derived
from product data
may be placed on the market data bus by the PSI. Such data may also be plotted
against
settlement or historical data. For example, real-time calculated volatilities
may be plotted on a
volatility surface described by volatilities from previous settlement data.
[0077] Another feature of the present disclosure is its ability to grant
privileges to certain users
and their associated groups. If a user is a member of a specific group, where
the group has a
plurality of user members, and privilege is granted to the plurality of
members of the group, then
the members of the group will have the ability to view any messages or
interactions that any of
the other members are engaged in per permission granted. For example, User 1
and User 2 are
corresponding using instant messaging over a network. If User 1 is a member of
Group 1, where
the group includes a plurality of members with the privilege to view the
instant messaging of
User 1, then all of the members of Group 1 will have the capability to view
the instant messages
sent and received by User 1.
[0078] The present disclosure includes several market data consumers. Some of
which include
output to unstructured text, market data feed, quote consoles, pricing service
integration, and
several other plug-ins.
[0079] Data from each of the virtual user databases may be de-personalized and
aggregated to
create an aggregate market data feed. Each virtual user database contains
historical information
about each quoted structure. This data may come from instant messages
containing structure and
quote data or from structured communication of structure and quote data. This
market data
includes all quotes and trades known by the user organized by structure.
Aggregate data may
then be gathered from the virtual user databases. Data may be correlated based
on product type
(flat gas, crude, etc.), structure type (swap, call, straddle, etc.), etc. In
this way, various types of
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CA 02843458 2014-02-18
aggregate reports may be run. An example of an aggregate report is a raw data
report that
includes all tick and trade data without reference to the user with which it
is associated. Another
example of an aggregate report is a swap settlement report that includes
prices for all swaps
based on the history of ticks and trades for a given day.
[0080] Another example of an aggregate report is an option settlement report
that includes prices
for all options with activity for a given day based on the history of ticks
and trades for that option
(including strike). Further, another example of an aggregate report is an
option settlement
calculator that includes, for each underlying product type, a swap forward
curve and a volatility
surface based on the ticks and trades for a given day. Yet another example of
an aggregate report
is a historical chart showing activity over time for various swaps and
options.
[0081] The present disclosure also includes the process of placing market data
on a bus and
processing and pulling off the market data off of a bus. In addition, the
present disclosure teaches
the process of pulling market data out of unstructured text. The unstructured
text could be
generated and/or displayed anywhere, for example from IM.
[0082] The method of the present disclosure of publishing to and consuming
from the market
data feed is designed and structured to work off of any platform. An example
of a platform that
the present disclosure may be used for is the OTC processes, i.e., users
publish quotes to easily
definable groups of counterparties, using a combination of unstructured text
and the outgoing
market data feed to reach counterparties both off and on the network of the
present disclosure.
[0083] The market data recognition generally parses unstructured text. This
process includes
generally the processing of all incoming and outgoing text, between users and
non-users. In
addition, the market data recognition module includes a quote entry panel on
the quote console.
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CA 02843458 2014-02-18
[0084] The system of the present disclosure provides an interface for quoting
new structures to
counterparties and to others. The interface provides a way to send error free
quotes in a
normalized format. In an embodiment, in order to enter a new quote, a user
will type into an
input box in freeform text. As the user types into the freeform textbox, the
system parses the
user's text in real time and creates a financial structure or combination of
financial structures that
reflects the structure that the user has typed.
[0085] The present disclosure also has a broking component. The broking
component is an agent
that acts as a broker. Users of the system may send quotes to a broking agent.
The broking agent
may distribute quotes using a broker specific distribution workflow. An
example of a distribution
workflow is a broker that automatically broadcasts all quotes. Other examples
of distribution
workflows are workflows where the broker agent distributes only a subset of
quotes to a subset
of users based on roles or other criteria at particular times, and may at a
later time or times
distribute a different subset of quotes to a different subset of users based
on various criteria. In
this way the agent can replicate existing business processes.
[0086] In an exemplary embodiment, a system according to the present
disclosure includes one
or more computer devices and one or more server computers in communication
with the at least
one computer devices. These computer devices sand server computers may
comprise at least one
of a personal computer, server, mobile communication device, smart phone,
personal digital
assistant (PDA), kiosk, automatic teller machine (ATM), wireless fidelity
(WiFi) access point,
gaming device, multi-media device, mobile entertainment device, cloud storage
device, and
database.
[0087] Each of the one or more computer devices may include at least one
memory device,
instructions stored in the memory device, and at least one processor executing
the instructions.
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CA 02843458 2014-02-18
In one embodiment, the instructions may be configured to generate a user
interface that receives
unstructured text generated by a user. This unstructured text may comprise
structures and quotes
on structures, where each structure comprises one or more component parts
(e.g., future,
forward, swap, spread, option (e.g., call or put), option on a future,
swaption and/or any other
derivative instrument). In another embodiment, the one or more server
computers may be
configured to generate the aforementioned user interface, in which case the
one or more
computer devices may be configured for providing a gateway to the one or more
server
computers for accessing said user interface. In yet another embodiment, the
one or more
computer devices and one or more server computers may collaborate to
collectively generate and
provide access to the user interface.
[0088] Optionally, the user interface may be configured to create structures,
manage quotes,
disseminate quotes, analyze quotes and price structures, initiate trades, and
communicate with
other computer devices and the server computers in response to user input. In
one embodiment,
the user interface comprises a graphical interface that optionally comprises a
product screen
configured to display structure details and quote details related to each
structure and quote
available to a user; data entry fields configured for entering, editing,
matching, and cancelling
quotes; and a communications screen configured to communicate with one or more
selected
contacts, receive input comprising the unstructured text, and transmit the
unstructured text to the
one or more server computers. This communications screen may include an
instant messaging
screen, a text messaging screen, and/or a quote interface operable to input
and define structures
and quotes.
[0089] Included in the one or more server computers is at least one memory
device storing code
and at least one processor executing the code. In one embodiment, the code is
configured to
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CA 02843458 2014-02-18
generate an instant messaging gateway that enables the one or more computer
devices
communicate with each other and with the server computers via instant
messaging. In such an
embodiment, the one or more server computers may be identified as instant
messaging contacts
of at least one of the computer devices, and configured to communicate with
the computer device
via the instant messages.
[0090] In another embodiment, the code is configured to generate a market data
recognition
module that recognizes the structures and quotes in the unstructured text and
converts the
unstructured text into an editable electronic order ticket that is pre-
populated with data and
information representing the structures and quotes. This market data
recognition module may
further be configured to convert the unstructured text into a selectable web
link that is displayed
via the user interface. Upon selecting web link, a web interface that includes
the editable
electronic order ticket may be launched. This web interface may be configured
to receive user
input including (without limitation) edits to order details included in the
electronic order ticket,
user preferences identifying one or more exchanges to which the electronic
order ticket is
transmitted for fulfillment, a confirmation that all order details included in
the electronic order
ticket are as desired, and a request to transmit the electronic order ticket
to one or more
exchanges for fulfillment. Notably, the one or more exchanges may comprise any
combination
of electronic and/or floor-based exchanges.
[0091] Upon transmitting the electronic order ticket to one or more exchanges
for fulfillment, the
one or more server computers may be configured to generate and transmit an
instant message
notice to one or more recipients associated with the one or more exchanges.
Notably, the
electronic order ticket may be submitted to the one or more exchanges
according to user selected
exchange preferences. Optionally, this instant message notice may include a
selectable link that
CA 02843458 2014-02-18
when selected launches an exchange interface that includes the electronic
order ticket. Once
launched, the exchange interface may be configured to receive input from the
one or more
recipients, said input including edits to the order details of electronic
order ticket, a confirmation
that all order details are as desired, and/or a request to transmit a
fulfillment response to the
initiator of the electronic order ticket.
[0092] In an embodiment, the system is configured to give recipients a
predetermined period of
time in which to respond to the instant message notice with offers to fulfill
the electronic order
ticket, such responses including at least one of a price and a quantity. This
predetermined period
may be referred to as an "auction period." At a conclusion of this
predetermined auction period,
the user interface may be configured to display all received recipient
responses cumulatively,
such that quantities of like-priced responses are summed and displayed as a
single cumulative
quantity associated with a single price.
[0093] Upon displaying the cumulative responses, the user interface may
further be configured
to provide a predetermined selection period during which the initiator of the
electronic order
ticket may provide input in the form of a selection of one or more of the
responses. This
selection may then initiate a trade at the selected response quantity and
price combination. In
one embodiment, if the selection includes a cumulative quantity that is higher
than the quantity
initially defined in the electronic order ticket, the initiator (by selecting
the higher quantity) may
initiate a trade for the higher quantity.
[0094] If after the auction period the electronic order ticket is not
completely fulfilled, the
system (e.g., the one or more server computers) may be configured to transmit
the electronic
order ticket to one or more different exchanges for fulfillment. As noted
above, these additional
exchanges may be selected according to user preferences, or they may be
selected automatically
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CA 02843458 2014-02-18
by the system according to a liquidity of the exchanges, for example. As noted
above, these
exchanges may comprise one or more electronic and/or floor-based exchanges.
[0095] Once the electronic order ticket is completely fulfilled, the one or
more server computers
may optionally be configured to prevent (for a predetermined period of time) a
second electronic
order ticket comprising a same financial structure as the just-fulfilled order
ticket from being
transmitted to an exchange for fulfillment. For purposes of this disclosure, a
"same" structure
may be defined as one having a same directional option and stock leg
combination.
[0096] Notably, if more than one recipient response is needed to fulfill the
electronic order
ticket, the one or more server computers may be configured to automatically
allocate how
responses will be used to fulfill the electronic order ticket. This automatic
allocation may be
according to the following criteria:
[0097] (i) price, where responses having a "best" price (from the
initiator's perspective)
will be used first, the "best" price being a lowest sell price (where the
response is an offer to sell)
or a highest purchase price (where the response is an offer to buy);
[0098] (ii) quantity; and
[0099] (iii) response type, where non-contingent responses are allocated
ahead of
responses having one or more contingencies.
[0100] Further, if more than one response is allocated to fulfill the
electronic order ticket, a
single price may be applied to all such responses. Optionally, this single
price may equal the
highest sell price or the lowest purchase price of all of the responses used
to fulfill the electronic
order ticket. Thus, for example, if a first response includes a sell price of
$.12/unit and a second
response includes a sell price of $.14/unit, and both responses are needed to
completely fulfill the
electronic order ticket, the electronic order ticket will be filled at
$.14/unit which means the first
27
CA 02843458 2016-03-09
respondent will receive more than his offer of $.12/unit. This will
incentivize recipients to
respond with aggressively priced responses.
[0101] The scope of the claims should not be limited by particular embodiments
set forth herein,
but should be construed in a manner consistent with the specification as a
whole.
28
